Trend-Following Backtester · Guide · backtest 한국어
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PT Energi Mega Persada Tbk backtest
10 trend-following strategies were compared on the full daily history of PT Energi Mega Persada Tbk. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 25.3%, MDD -53.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.5%, drawdown -99.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 29.7%, MDD -60.0%, Sharpe 0.90, 20% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 31.2%p higher than buy and hold, while drawdown improves by 39.6%p (CAGR 25.3%, MDD -53.6%, exposure 27%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=17, k=2.5 |
29.7% | -60.0% | 0.90 | 0.50 | 318.4x | 124 | 20% |
| ADX / DI 방향성 period=8, threshold=38 |
25.3% | -53.6% | 0.80 | 0.47 | 148.5x | 182 | 27% |
| SMA 크로스오버 fast=15, slow=63 |
27.2% | -58.7% | 0.76 | 0.46 | 207.3x | 94 | 42% |
| Supertrend period=21, mult=4.6 |
25.5% | -63.7% | 0.74 | 0.40 | 153.2x | 60 | 43% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=18, mult=1.1 |
23.7% | -71.7% | 0.74 | 0.33 | 110.7x | 188 | 26% |
| Donchian 채널 돌파 entryN=52, exitN=9 |
20.9% | -55.3% | 0.72 | 0.38 | 66.8x | 80 | 24% |
| EMA 크로스오버 fast=23, slow=43 |
23.1% | -73.5% | 0.69 | 0.31 | 99.4x | 82 | 43% |
| Parabolic SAR step=0.02, maxStep=0.34 |
23.4% | -69.2% | 0.69 | 0.34 | 105.1x | 334 | 44% |
| ROC 모멘텀 n=79, threshold=0.01 |
20.4% | -67.4% | 0.64 | 0.30 | 61.2x | 204 | 42% |
| MACD fast=17, slow=38, signal=10 |
13.8% | -91.5% | 0.51 | 0.15 | 17.6x | 249 | 53% |
| Buy and hold | -1.5% | -99.6% | 0.29 | -0.02 | 0.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 17-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 17-day middle average